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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems

Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999

It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...

Persistent link: https://www.econbiz.de/10009580485

A money demand system for M3 in the unified Germany

Lütkepohl, Helmut; Wolters, Jürgen - 1997

A small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest...

Persistent link: https://www.econbiz.de/10009660378

The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - 2001

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...

Persistent link: https://www.econbiz.de/10009616780

The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany

Nautz, Dieter; Wolters, Jürgen - 1998

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …

Persistent link: https://www.econbiz.de/10009578577